25Delta Absolute Return
Expert Investor Sicav-SIF 25Delta Absolute Return
Absolute Return Fund, short term, with a double functional profile, as an alternative investment and as manager of liquidity, that invests in short term fixed income instruments of high credit quality and exploits discretionally the risk premia in the foreign exchange options market. The fund seeks stable positive returns in any market condition.*
• Ver high credit quality
• Short term (1 month)
• Uncorrelated by the management of absolute return strategieS
• Diversified by main issuers of fixed income, in the main currencies (G4)
• High liquidity as the fund works in the two most liquid markets (FI y FX)
• Strong focus on Risk Control
• Cash Portfolio: 10% cash – 90% goverment and corporate high investment grade 3 month tenor, in G4 issuer currencies.
• Absolute Return Portfolio: build with strategies in G4 options space 1 month tenor.
Risk controlled through continuous and automatic monitoring of marked to market (MTM) of the portfolios at individual and group levels, and trough the implementation of a risk management strategy with two angles:
• Risk control: VaR 99% parametric: -0.95% monthly, -0,17% daily
- Forward orders: automatic, always in market and with own stop losses
- Reestructuring of initial strategies: discretional
• Risk Management: Even the portfolio is set to expiration, daily levels are established:
- Partial unwind: discretional: MTM -1%
- Elimination: automatic: MTM >-2%
* For institutional investors only.
EXPERT INVESTOR SICAV-SIF 25DELTA ABSOLUTE RETURN MAIN OBJECTIVES:
Enhance liquidity management, beat monetary and fixed income short term funds
and improve the risk/return profile of a portfolio as an alternative investment, uncorrelated, with monthly liquidity, and risk under controlled.
ANNUAL PERFORMANCE TARGET:
Between 4% and 6% over the annualized free risk three month return
ANNUAL VOLATILITY TARGET:
Documents 25Delta Absolute Return